回溯日期可以解釋台灣員工認股選擇權給予日附近的異常報酬率嗎?

Abstract

此實證研究一窺在美國與加拿大政府機關與學術界受到廣大關注的回溯日期手法，而我們也嘗試去分析回溯日期手法是否可能發生在台灣。樣本採用台灣上市與上櫃公司在2001至2006年12月7日的員工認股權，我們發現在給予日之前股價會逐漸下跌，給予日之後股價會迅速且明顯的上漲。非常有趣地此異常報酬率的模式與美國或加拿大所發現的結果非常類似。我們發現當公司規模較小、員工認股選擇權計劃受經理人或家族集團控制、認股權股數較多，高階經理人有能力及動機去影響給予日的時間點，所以給予日附近的異常報酬也會更明顯。分析台灣的法規、實務、與此實證結果後，我們認為回歸日期的手法也可以解釋台灣員工認股選擇權在給予日附近的異常報酬率。

This study takes a glimpse of the backdating practices capturing plenty of attention of academics and policy makers in U.S. or Canada, and we also try to analyze whether backdating could also take place in Taiwan. Using the sample of Taiwanese employee stock option awards among TSE(Taiwan Stock Exchange) listed and OTC firms firm 2001 to Dec 7th 2006, we find that stock prices fall gradually before the option grant dates and surge significantly following the grant date, generating sharp reversal of abnormal stock returns. Interestingly the abnormal return pattern around the grant date is very similar to American and Canadian ones. We also find when executives have the incentive (i.e., more shares granted) and the ability (such as poor corporate governance, employee stock option plan influenced by top managers or family group) to influence the timing of employee stock option grants, the abnormal return pattern would be more discernible. Our research indicates that backdating could also explain Taiwanese abnormal returns around employee stock option grants